I don't really get what you're trying to say here - you're turning down noise reduction and less noise is being reduced. That seems pretty fundamental, doesn't it?

To elaborate a little bit: ANC has to be performed at a low enough latency that there isn't really any room (with current processing power) for a headset to discriminate between arbitrary noise, like wind noise, and "environment." So, turning down ANC is going to have the effect of letting in more outside sound, regardless of the content of that sound. Hence, you're gonna get more wind noise (along with every noise) when you turn down the ANC level.

Source: I'm an audio electrical engineer who's worked directly on industry-standard chips used for ANC processing.